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1cs542g-term1-2007 Notes Assignment 1 due tonight (email me by tomorrow morning)
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2cs542g-term1-2007 The Power Method Start with some random vector v, ||v|| 2 =1 Iterate v=(Av)/||Av|| The eigenvector with largest eigenvalue tends to dominate How fast? Linear convergence, slowed down by close eigenvalues
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3cs542g-term1-2007 Shift and Invert (Rayleigh Iteration) Say the eigenvalue we want is approximately k The matrix (A- k I) -1 has the same eigenvectors as A But the eigenvalues are Use this in the power method instead Even better, update guess at eigenvalue each iteration: Gives cubic convergence! (triples the number of significant digits each iteration when converging)
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4cs542g-term1-2007 Maximality and Orthogonality Unit eigenvectors v 1 of the maximum magnitude eigenvalue satisfy Unit eigenvectors v k of the k’th eigenvalue satisfy Can pick them off one by one, or….
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5cs542g-term1-2007 Orthogonal iteration Solve for lots (or all) of eigenvectors simultaneously Start with initial guess V For k=1, 2, … Z=AV VR=Z (QR decomposition: orthogonalize Z) Easy, but slow (linear convergence, nearby eigenvalues slow things down a lot)
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6cs542g-term1-2007 Rayleigh-Ritz Aside: find a subset of the eigenpairs E.g. largest k, smallest k Orthogonal estimate V (n k) of eigenvectors Simple Rayleigh estimate of eigenvalues: diag(V T AV) Rayleigh-Ritz approach: Solve k k eigenproblem V T AV Use those eigenvalues (Ritz values) and the associated orthogonal combinations of columns of V Note: another instance of “assume solution lies in span of a few basis vectors, solve reduced dimension problem”
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7cs542g-term1-2007 Solving the Full Problem Orthogonal iteration works, but it’s slow First speed-up: make A tridiagonal Sequence of symmetric Householder reflections Then Z=AV runs in O(n 2 ) instead of O(n 3 ) Other ingredients: Shifting: if we shift A by an exact eigenvalue, A- I, we get an exact eigenvector out of QR (the last column) - improves on linear convergence Division: once an offdiagonal is almost zero, problem separates into decoupled blocks
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8cs542g-term1-2007 Nonlinear optimization Switch gears a little: we’ve already seen plenty of instances of minimizing, with linear least-squares What about nonlinear problems? Find f(x) is called the objective This is an unconstrained problem, since no limits on x.
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9cs542g-term1-2007 Classes of methods Only evaluate f: Stochastic search, pattern search, cyclic coordinate descent (Gauss-Seidel), genetic algorithms, etc. Also evaluate ∂f/∂x (gradient vector) Steepest descent and relatives Quasi-Newton methods Also evaluate ∂ 2 f/∂x 2 (Hessian matrix) Newton’s method and relatives
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10cs542g-term1-2007 Steepest Descent The gradient is the direction of fastest change Locally, f(x+dx) is smallest when dx is in the direction of negative gradient f The algorithm: Start with guess Until converged: Find direction Choose step size Next guess is
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11cs542g-term1-2007 Convergence? At global minimum, gradient is zero: Can test if gradient is smaller than some threshold for convergence Note: scaling problem: min A*f(B*x)+C However, gradient is also zero at Every local minimum Every local maximum Every saddle-point
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12cs542g-term1-2007 Convexity A function is convex if Eliminates possibility of multiple strict local mins Strictly convex: at most one local min Very good property for a problem to have!
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13cs542g-term1-2007 Selecting a step size Scaling problem again: physical dimensions of x and gradient may not match Choosing a step too large: May end up further from minimum Choosing a step too small: Slow, maybe too slow to actually converge Line search: keep picking different step sizes until satisfied
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